Confidence bands for hazard rates under random censorship

We suggest a completely empirical approach to the construction of confidence bands for hazard functions, based on smoothing the Nelsen-Aalen estimator. In particular, we introduce a local bandwidth-choice method. Our approach uses empirical information about both the survival rate and the censoring rate, and employs undersmoothing to alleviate difficulties caused by bias. We use both Edgeworth expansion and numerical simulation, the former to develop a basic formula and the latter to modify it for general use.